Quantile hedging in models with dividends and application to equity-linked life insurance contracts
Anna Glazyrina, Alexander Melnikov
| Year of publication: |
2020
|
|---|---|
| Authors: | Glazyrina, Anna ; Melʹnikov, Aleksandr V. |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 14.2020, 2, p. 207-224
|
| Subject: | Quantile hedging | Equity-linked life insurance contracts | Pure endowment | Jump-diffusion | Black-Scholes | Dividends | Lebensversicherung | Life insurance | Hedging | Dividende | Dividend | Optionspreistheorie | Option pricing theory | Kapitalanlage | Financial investment | Versicherungsmathematik | Actuarial mathematics | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-019-00252-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012240110